Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Year of publication: |
2016
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Authors: | Bardgett, Chris ; Gourier, Elise ; Leippold, Markus |
Publisher: |
London : Queen Mary University of London, School of Economics and Finance |
Subject: | S&P 500 and VIX joint modeling | volatility dynamics | particle filter | variance risk premium |
Series: | Working Paper ; 780 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 845525751 [GVK] hdl:10419/175217 [Handle] RePEc:qmw:qmwecw:wp780 [RePEc] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; c58 |
Source: |
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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris, (2016)
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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris, (2019)
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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris, (2013)
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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris, (2019)
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Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets
Bardgett, Chris, (2017)
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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris, (2013)
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